I don't really talk in a deep sleep, but when I'm just-barely-not-awake-yet I can carry on full, lucid conversations with people but then I'll just fall back into a deeper sleep and not remember any of it. This resulted in quite a few conversations along these lines when growing up:
Me: I'm late! Mom, why didn't you wake me up?
Mom: I did. You even said you were up and getting ready.
Me: ... No I didn't.